Apparently it has been in the works for two years.
Red Dead Redemption needs no introduction, it is, along with GTA, Rockstar's most beloved franchise. It's been just over three years since the second instalment was released and since then Rockstar seems to have focused mostly on the multiplayer part.
But now it seems that a third part may actually be on the way, as a Rockstar employee has written on his Linkedin profile that he is working on Red Dead Redemption 3 and has been doing so for two years, which should mean that development may have started quite soon after the second part was released.
In addition, Take-Two's (Rockstar's parent company) CEO Strauss Zelnick has stated in an interview that both GTA and Red Dead Redemption are permanent franchises and compared them to James Bond in the sense that new titles will keep coming for many years to come.
Rockstar themselves have not confirmed if there will be a third instalment, and there is of course the risk of it being a simple mistake.
But regardless of this, a Red Dead Redemption 3 will eventually be released and the development is very long. It's not too far-fetched to think that Rockstar has started the development in at least some fashion.